Smooth densities for SDEs driven by subordinated Brownian motion with Markovian switching
Probability
2017-11-27 v2
Abstract
In this paper we consider a class of stochastic differential equations driven by subordinate Brownian motion with Markovian switching. We use Malliavin calculus to study the smoothness of the density for the solution under uniform H\"ormander's type condition.
Keywords
Cite
@article{arxiv.1410.5913,
title = {Smooth densities for SDEs driven by subordinated Brownian motion with Markovian switching},
author = {Xiaobin Sun and Yingchao Xie},
journal= {arXiv preprint arXiv:1410.5913},
year = {2017}
}
Comments
17 pages. arXiv admin note: text overlap with arXiv:1409.3927. We consider the SDE with Markovian switching, which repaces the SDE with state-dependent switching